A hybrid FR-DY conjugate gradient algorithm for unconstrained optimization with application in portfolio selection

Auwal Bala Abubakar; Poom Kumam; Maulana Malik; Parin Chaipunya; Abdulkarim Hassan Ibrahim

doi:https://doi.org/10.3934/math.2021383

doi.org/10.3934/math.2021383

A hybrid FR-DY conjugate gradient algorithm for unconstrained optimization with application in portfolio selection

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,

..., Abdulkarim Hassan Ibrahim

12

AIMS mathematics2.20

Volume: 6, Issue: 6, Pages: 6506 - 6527

Published: Jan 1, 2021

Abstract

In this paper, we present a new hybrid conjugate gradient (CG) approach for solving unconstrained optimization problem. The search direction is a hybrid form of the Fletcher-Reeves (FR) and the Dai-Yuan (DY) CG parameters and is close to the direction of the memoryless Broyden-Fletcher-Goldfarb-Shanno (BFGS) quasi-Newton approach. Independent of the line search, the search direction of the new approach satisfies the descent condition...

Paper Fields

Paper Details

Title

A hybrid FR-DY conjugate gradient algorithm for unconstrained optimization with application in portfolio selection

DOI

doi.org/10.3934/math.2021383

Published Date

Jan 1, 2021

Journal

AIMS mathematics

Volume

6

Issue

6

Pages

6506 - 6527

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